Convergence of Simar's algorithm for finding the maximum likelihood estimate of a compound Poisson process

DOI10.1214/aos/1176345890zbMath0523.62074OpenAlexW2065421455WikidataQ56907120 ScholiaQ56907120MaRDI QIDQ1056498

Dankmar Boehning

Publication date: 1982

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176345890

zbMATH Keywords

compound Poisson processiterative proceduresconvergence of Simar algorithmmaximizing concave functional

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99) Probabilistic methods, stochastic differential equations (65C99)

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